from the SOAP::Lite documentation:

proxy()

Shortcut for transport->proxy(). This lets you specify an endpoint (service address) and also loads the required module at the same time. It is required for dispatching SOAP calls. The name of the module will be defined depending on the protocol specific for the endpoint. The prefix SOAP::Transport will be prepended, the module will be loaded and object of class (with appended ::Client) will be created.

For example, for http://localhost/, the class for creating objects will look for SOAP::Transport:HTTP::Client;

In addition to endpoint parameter, proxy() can accept any transport specific parameters that could be passed as name => value pairs. For example, to specify proxy settings for HTTP protocol you may do:

  $soap->proxy('http://endpoint.server/', 
               proxy => ['http' => 'http://my.proxy.server/']);
[download]

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note the extra parameter specifying a proxy server. the documentation can be found here.